Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0632
Annualized Std Dev 0.4788
Annualized Sharpe (Rf=0%) -0.1320

Row

Daily Return Statistics

Close
Observations 2856.0000
NAs 1.0000
Minimum -0.2627
Quartile 1 -0.0161
Median -0.0003
Arithmetic Mean 0.0002
Geometric Mean -0.0003
Quartile 3 0.0171
Maximum 0.2365
SE Mean 0.0006
LCL Mean (0.95) -0.0009
UCL Mean (0.95) 0.0013
Variance 0.0009
Stdev 0.0302
Skewness -0.0588
Kurtosis 6.6137

Downside Risk

Close
Semi Deviation 0.0212
Gain Deviation 0.0208
Loss Deviation 0.0205
Downside Deviation (MAR=210%) 0.0258
Downside Deviation (Rf=0%) 0.0211
Downside Deviation (0%) 0.0211
Maximum Drawdown 0.9028
Historical VaR (95%) -0.0462
Historical ES (95%) -0.0663
Modified VaR (95%) -0.0459
Modified ES (95%) -0.0727
From Trough To Depth Length To Trough Recovery
2010-12-07 2016-01-19 NA -0.9028 2589 1287 NA
2009-12-03 2010-02-04 2010-05-11 -0.2519 109 43 66
2010-05-13 2010-05-20 2010-09-01 -0.1830 78 6 72
2010-11-09 2010-11-16 2010-12-02 -0.1181 17 6 11
2010-10-14 2010-10-19 2010-11-02 -0.0814 14 4 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA NA NA NA NA 5.1 0.8 6
2010 7.4 2.1 3.3 0.6 -1.1 -5.1 1.8 1 2.4 0.3 2 1.5 17.1
2011 4.5 2.8 -0.6 0.2 -2 -1.7 0.9 -0.1 0.3 -1.2 0.1 3.4 6.7
2012 0.5 1.4 1.7 0.3 6.9 5.6 -0.7 5.4 0.3 -0.4 -1.6 2.8 24.2
2013 1.3 -1.4 -2.1 -3.3 -2.7 1.8 -1.9 -1.7 -3.1 -3.1 3.5 3.2 -9.5
2014 -0.2 0.4 -1.1 -2.4 2.1 -2.2 1.3 1.1 0.7 -6.5 9.8 -0.8 1.5
2015 4.3 0.8 6.1 0.4 -0.4 -3.9 1.9 -3.1 -2.1 -0.4 2.4 0.3 5.9
2016 3.1 -3.7 1.5 5.9 -0.1 6.5 1.7 4.8 -1.2 3.3 -0.2 -5.8 16
2017 0.8 1.9 0.8 -2.8 -0.3 0.2 -0.2 0.5 -0.9 0.4 0.3 -0.4 0.2
2018 -0.1 1.6 1.5 0.6 0.2 1.6 -0.6 -0.4 0.1 3 -1 2.6 9.5
2019 -0.4 -3 -2.7 -1.8 3.6 -4.9 5.1 0.3 1.9 0.5 2.6 -0.3 0.4
2020 1 -9.3 3.8 2.3 3.9 -0.2 2.6 -1.4 1.7 1.1 5.4 -1 9.5
2021 5.8 -1.7 1.7 NA NA NA NA NA NA NA NA NA 5.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2009-11-11 102.  SPY    110.  5.10e-3   0.0498   0.025    0.0845    0.227   -0.203  -0.0583 GLD    110.  0.0112   0.0233
2 2009-11-12  99.4 SPY    109. -1.02e-2   0.0204  -0.0026   0.0818    0.270   -0.211  -0.0749 GLD    108. -0.0127   0.0115
3 2009-11-13 102.  SPY    110.  5.40e-3   0.0232  -0.0008   0.115     0.202   -0.209  -0.0772 GLD    110.  0.0141   0.0215
4 2009-11-16 106   SPY    111.  1.45e-2   0.015    0.0213   0.122     0.284   -0.204  -0.0633 GLD    112.  0.0172   0.0318
5 2009-11-17 108.  SPY    111.  1.20e-3   0.016    0.0141   0.114     0.303   -0.205  -0.0555 GLD    112.  0.003    0.033 
6 2009-11-18 108.  SPY    111. -6.00e-4   0.0102   0.0189   0.102     0.278   -0.207  -0.0616 GLD    112.  0.0025   0.0242
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart